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Title: Malliavin calculus applied to option pricing theory
Author: Lagunas Merino, Marc
Director: Vives Santa Eulàlia, Josep
Tutor: Rodríguez Velázquez, Juan Alberto
Others: Universitat Oberta de Catalunya
Keywords: malliavin calculus
stochastic process
option pricing
mathematical models
Issue Date: 7-Jul-2016
Publisher: Universitat Oberta de Catalunya
Abstract: The work presented is framed within the theory of stochastic processes applied to the valuation of European options. The aim of the document is to present a new analytical formula for writing the density function of the underlying asset of the derivative in terms of the known function Black-Scholes plus an adjustment term that is determined by the correlation and volatility dependent model stochastic volatility chosen.
Language: English
Appears in Collections:Bachelor thesis, research projects, etc.

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